Stochastic Portfolio Specific Mortality and the Quantification of Mortality Basis Risk

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2009 Netherlands English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Plat, R.;

doi: 10.2139/ssrn.1277803 , 10.1016/j.insmatheco.2009.05.002

handle: 11245/1.315987

Stochastic Portfolio Specific Mortality and the Quantification of Mortality Basis Risk

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Abstract

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Country

Netherlands

Related Organizations

Achmea (Netherlands)
Netherlands
University of Amsterdam
Netherlands

Keywords

portfolio specific mortality, 330, Portfolio theory, Stochastic models in economics, Risk theory, insurance, longevity risk, Solvency 2, stochastic mortality models, mortality basis risk

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